search query: @freeterm anomalies / total: 7
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| Author: | Loughran, T. Ritter, J. R. |
| Title: | Uniformly least powerful tests of market efficiency |
| Journal: | Journal of Financial Economics
2000 : MAR, VOL. 55:3, p. 361-389 |
| Index terms: | Markets Efficiency Risk |
| Freeterms: | Anomalies |
| Language: | eng |
| Abstract: | Defenders of market efficiency argue that anomalies involving long-term abnormal returns are not robust to alternative methodologies. It is argued in this paper that because various methodologies use different weighting schemes, the magnitude of abnormal returns should differ, and in a predictable manner. Three problems are identified causing low power in value-weighted three-factor time series regressions when abnormal returns following managerial actions are being estimated. There are illustrated sensitivities in the context of the new issues puzzle as well as with simulations. |
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